Long-term returns in stochastic interest rate models: convergence in law

DOI10.1080/17442509508834028zbMath0886.60073OpenAlexW2002381613MaRDI QIDQ4357822

Griselda Deelstra, Freddy Delbaen

Publication date: 4 May 1998

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/7580/1/gd-0004.pdf

zbMATH Keywords

convergence in lawstochastic interest ratesAldous' criteriongeneralized Bessel square processes

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Decision theory (91B06) Diffusion processes (60J60)

Related Items (5)

Ergodicity of scalar stochastic differential equations with Hölder continuous coefficients ⋮ Bessel bridges decomposition with varying dimension: applications to finance ⋮ Long-Term Returns in Stochastic Interest Rate Models: Applications ⋮ DOMAIN RESTRICTIONS ON INTEREST RATES IMPLIED BY NO ARBITRAGE ⋮ Consistent fitting of one-factor models to interest rate data.

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